FINANCE-ASSISTANT VICE PRESIDENT (Morrisville, NC): Analyze & valuate financial derivative pricing models covering equity, interest rate, FX, & credit derivatives. Review the appropriateness of model calibration, inputs to model, model adjustments, & usage of model. Write full model valuation review documentation that satisfies the firm’s internal model approval functions, audit requirements, & the firm’s regulators. Review & improve benchmarking methodologies to price complex & hard-to-value assets & liabilities on the firm’s book. Perform monthly benchmarking analysis on emerging markets credit loans & share backed loans that have poor or volatile market reference data. Provide benchmarking procedure guidance to colleagues for their benchmarking analysis. Provide effective solutions to ad hoc topics or requests relating to model risk valuations & benchmarking utilizing Excel VBA. Liaise with traders, modelers, risk managers, & product controllers to accomplish tasks. Req’s Master’s degr plus 2 yrs exp. Please forward your resume to Credit Suisse, P.O. Box MT-273, 220 W. 42nd St., 12th Fl., New York, NY 10036. No phone calls.
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